第六讲 外汇市场

Chapter6TheforeignexchangemarketDec.13,2005Ipromisetopay______________________________________________________________________________ataninterestrateof_____%within______days.________________________DouglasCloudOneThousandDollarsandno/100690T.WoodMostinternationalfinancialtransactionssoonerorlaterinvolveanexchangeofonecurrencyforanothertheexchangerateandexchangeratedeterminationplayanimportantroleininternationalfinancialtheory.绝大多数的国际金融交易活动都或多或少地涉及到外汇交易。因此说汇率及其决定因素分析在国际金融理论中占有重要的地位。Theefficiencyoftheinternationalfinancialsystemanditsdegreeofintegrationwiththeindividualnationalfinancialsystemsdependstoalargeextentonhowcheaplyandquicklyforeignexchangetransactionscanbeeffected.Dec.13,2005Ipromisetopay______________________________________________________________________________ataninterestrateof_____%within______days.________________________DouglasCloudOneThousandDollarsandno/100690T.Wood国际金融系统的效率，及其同各国金融系统的联系程度在很大程度上取决于外汇交易的成本和效率Theforeignexchangemarketiswherecurrenciesareboughtandsold.Inthischapterwelookattheforeignexchangemarketfromatechnicalpointofview,examininghowthemarketisorganized,howexchangeratesarequotedandhowtradesareactuallymade.外汇市场是进行外汇交易的场所。本章将从技术的角度来分析外汇市场、研究市场是如何构成、汇率是如何标价，以及实际的外汇交易是如何操作的。Wewillalsoseehowdeliveryandsettlementisachievedbetweenagentsindifferentcountries.AnimportantelementinthediscussionisthelinkbetweentheforeignexchangemarketandtheEurocurrencymarket.还将涉及到不同国家的银行之间是如何进行移交和结算的等问题。其中我们将重点讨论外汇市场和欧洲货币市场间的联系。1.Organizationoftheforeignexchangespotmarket(即期外汇市场的组织结构）1.1TheinterbankmarketForeignexchangetransactionsForeignexchangetransactionsinvolvebuyingandsellingonecurrencyforanother.外汇交易是指用一种货币兑换另外一种货币的交易活动。实际的外汇交易一般都不是双方直接进行货币交易的，而是以一种货币的活期存款兑换另一种货币的活期存款。Dec.13,2005Ipromisetopay______________________________________________________________________________ataninterestrateof_____%within______days.________________________DouglasCloudOneThousandDollarsandno/100690T.WoodThetransactioncanbemadeforimmediatedeliveryonthespotmarketFuturedeliveryonthefuturedelivery即期市场中的外汇交易是立即进行交割的外汇交易，而远期外汇交易是指按照约定的时间在未来进行交割的交易。Thecoreoftheforeignexchangemarketistheinterbankmarket.Itisaninformal,over-the-counter,arounnd-the-clockmarketthatincludesthemajorcommercialbanksandsomespecializedbrokerslocatedintheprincipalfinancialspecialsatellitecommunicationsnetworkcalledSWIFT.银行同业市场是外汇市场的重要组成部分，银行同业市场是一种非正式的、场外的、全天候外汇交易市场，其业务范围涉及到世界各主要金融中心的大型商业银行和专业经纪公司。他们之间通过电话、电报，而现在更多的是通过称为SWIFT的专用通讯卫星网络来传输交易。1.2SpotquotationsDirectdollarquotes(Europeanterms)Exchangeratescanbequotedintwoways:Thenumberofunitsofdomesticcurrencyforoneunitofforeigncurrency(incertain,directquotations);Thenumberofunitsofforeigncurrencyforoneunitofdomesticcurrency(√).汇率的表示方法有两种：（１）以本国货币表示的一单位外国货币的数量；（２）以外国货币表示的一单位本国货币的数量。Dec.13,2005Ipromisetopay______________________________________________________________________________ataninterestrateof_____%within______days.________________________DouglasCloudOneThousandDollarsandno/100690T.Wood目前世界绝大多数国家都采用直接标价法，而英国和美国则采用间接标价法。Thedifferenceisthespread(gain)Thespreadatlessthan0.04%bid/askspread=askrate–bidrateaskrateExampleSupposebidpricefor£=$1.52,askprice=$1.60.Spread=(1.60–1.52)=.05or5%1.60Dec.13,2005Ipromisetopay______________________________________________________________________________ataninterestrateof_____%within______days.________________________DouglasCloudOneThousandDollarsandno/100690T.WoodRememberthatforeignexchangequotesaresymmetrical.Buyingoneisthesameassellingtheother.切记汇率的标价是完全对称的。即买入一种货币就相当于卖出另外一种货币。Indirectquotation=1Directquotation1.3Crossrates•Acrossexchangeratereflectstheamountofoneforeigncurrencyperunitofanotherforeigncurrency.以非美元标价的、不同外币间的汇率就叫做套算汇率。ExampleDirectquote:$1.50/£,$.009/¥Indirectquote:.67£/$,111.11¥/$Valueof£in¥=valueof£in$valueof¥in$=$1.50/£$.009/¥Triangulararbitrage------三角套汇2.Theforwardforeignexchangemarket（远期外汇市场）2.1ForwardquotesSpotexchangeratesarequotedfordeliverytwobusinessdaysafterthetransactionisconcludedForwardcontractsareforeignexchangetradersquoteexchangeratesfordeliveryfurtherthantwodaysinthefuture.即期汇率是外汇交易完成后的两个营业日内进行外汇交割的汇率。银行同业拆借市场中外汇交易者也可以在两个营业日之后的未来某个约定日期进行交割，并以当日的汇率作为交易汇率-----远期外汇交易。Contractscanbenegotiatedforjustaboutanymaturitybutmostbankssupplyregularquotesonmaturitiesof30,60,90and180days.远期外汇交易合同规定，可以在未来的任何时间进行交割，但大多数银行规定的一般期限为30天、60天、90天或者180天。1.1ForwardquotesDiscountsandpremiumsF0,t——t年内交割的远期汇率S0——即期汇率Representedtheforwardpremiumortheforwarddiscount.ForwardpremiumForwardpremiumTheforwardrateishigherthanthespotrate.ForwarddiscountTheforwardratehadbeenlowerthanthespotrate.升水就是指外汇的远期汇率高于即期汇率的部分。如果远期汇率低于即期汇率，我们就称之为远期贴水。Closingmid-pointTakingthesumofthebidandtheaskanddividingbytwogivestheclosingmid-point.中间价是指汇率的买入价与卖出价总和的平均值Thepremiumontheyenvis-à-visthedollaris6.2%Thediscountonthedollarisapproximatelyequaltothepremiumontheyen.1.2ConventionsinforwardquotationsQuotetherate“outright”SwaprateItinvolvesgivingthenumberofunitsofonecurrencythatittakestobuyoneunitofanothercurrencyfordeliveryinthefuture.Itpresentstheforwardrateasadiscountorpremiumonthe